Multivariate generalized Pareto distributions: parametrizations, representations, and properties

Rootzén, Holger;Segers, Johan;Wadsworth, Jennifer
(2017) , 20 pages

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Authors
  • RootzĂ©n, Holger
    Author
  • Segers, JohanUCLouvain
    Author
  • Wadsworth, Jennifer
    Author
Abstract
Multivariate generalized Pareto distributions arise as the limit distributions of exceedances over multivariate thresholds of random vectors in the domain of attraction of a max-stable distribution. These distributions can be parametrized and represented in a number of different ways. Moreover, generalized Pareto distributions enjoy a number of interesting sta- bility properties. An overview of the main features of such distributions are given, expressed compactly in several parametrizations, giving the potential user of these distributions a con- venient catalogue of ways to handle and work with generalized Pareto distributions.
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Rootzén, H., Segers, J., & Wadsworth, J. (2017). Multivariate generalized Pareto distributions: parametrizations, representations, and properties (ISBA Discussion Paper 2017/16). https://hdl.handle.net/2078.5/178120